Table 7. GRS test result Mean alpha GRS... | Emerald Publishing

Table 7.

GRS test result

	Mean alpha	GRS test	p-value	Mean SE	Mean abs a∼a	Mean adjusted R²
4 Distress sorted portfolio
MKT SMB HML	0.21	2.08	0.08	0.37	0.40	0.88
MKT SMB HML RD	0.04	1.96	0.11	0.31	0.44	0.91
MKT SMB HML CMA RMW	0.06	1.67	0.16	0.04	0.27	0.89
MKT SMB HML CMA RMW RD	0.02	1.59	0.18	0.03	0.32	0.92

	Meanalpha	GRS test	p-value	Mean SE	Meanabs a∼a	Meanadjusted R²
4 Distress sorted portfolio
MKT SMB HML	0.21	2.08	0.08	0.37	0.40	0.88
MKT SMB HML RD	0.04	1.96	0.11	0.31	0.44	0.91
MKT SMB HML CMA RMW	0.06	1.67	0.16	0.04	0.27	0.89
MKT SMB HML CMA RMW RD	0.02	1.59	0.18	0.03	0.32	0.92

Source: Researchers’ computation